Showing 1 - 5 of 5
For a semi-martingale Xt, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation (X;X)t is constructed based on observations in the vicinity of Xt. The problem is embedded in a Poisson point process framework, which reveals an interesting connection to the theory...
Persistent link: https://www.econbiz.de/10010412417
Persistent link: https://www.econbiz.de/10014438210
Persistent link: https://www.econbiz.de/10010241280
Persistent link: https://www.econbiz.de/10012295616
Persistent link: https://www.econbiz.de/10014448489